Always auto-execute query on column sorting.
If you disable query auto-execution as Beth Massi suggests at http://blogs.msdn.com/b/bethmassi/archive/2012/05/29/lightswitch-tips-amp-tricks-on-query-performance.aspx
you lose the convenience of sorting grid columns. If you wish to sort on some column you have to first click on its head, and then refresh the screen. As far as I know, there is no such an event like grid_sort() exposed where you could programmatically refresh the screen.
If “Auto Execute Query” property is disabled and you click the sortable column head, refresh automatically i.e. “auto-execute” the query!
Atanas Bogdanov commented
Same for other “supports” which obviously rely on auto-execution feature: “Support paging” and “Support search”:
On clicking “Page navigation” control -> go to the requested page.
On “Search” clicked -> show filtered result.